Re: error - cplex cannot extract expression (nonlinear)

‏2013-02-07T12:14:17Z

This is the accepted answer.
This is the accepted answer.

The problem, as formulated, is not convex, and as such not even close for the cplex to handle. The equivalent reformulation will not help here, given that even the standard deviation is a decision variable.

Either try to simplify the problem and bring it to convex quadratic or linear form or use non-linear solver. Least Squares is also a sub-class of maximum-likelihood problems, but it has a fixed standard deviation.

Re: error - cplex cannot extract expression (nonlinear)

The problem, as formulated, is not convex, and as such not even close for the cplex to handle. The equivalent reformulation will not help here, given that even the standard deviation is a decision variable.

Either try to simplify the problem and bring it to convex quadratic or linear form or use non-linear solver. Least Squares is also a sub-class of maximum-likelihood problems, but it has a fixed standard deviation.

Thanks Zahar, I appreciate it. q in the formulation is one of the decision variables. This MLE is used to determine parameters for a jump process, and q is the measure of jump intensity. If you're interested, there's more in the paper "Surpise element: jumps in interest rates" by Sanjiv Das in J. of Econometrics <http://www.sciencedirect.com/science/article/pii/S0304407601000859>.